I recently installed a Needswings (Performance auto parts & aftermarket auto accessories for your car, specializing SRT4, Crossfire SRT6, SLK32, C32 AMG, VR-4) single CAI and I'm very happy with it. I also got the Mercedes engine cover to go with it. I recently drove out to Vegas and did see slightly improved HP and better gas mileages (went from 24-26 to 26-29 from my observations although not scientific).

I would not recommend removing the air filters. I would upgrade to K&N filters for the stock air intake if you don't want to go the CAI route. By not using the stock air filters and using a CAI with the filter in front, the air will be cooler compared to using the stock intake (which has the filters on top of the engine which will "cook" the air).